Optimal programmed controls: existence and approximation
Dmitry Arkad'evich Khrychev · Sbornik Mathematics · 2001
The existence of an optimal programmed control is proved for a Mayer problem with random parameters under sufficiently general conditions on a dynamical system. For obtaining suboptimal controls a method is considered that uses discretization of the distribution of the random parameters. It is shown that the results can be extended to problems with distributed parameters.